ANNEX IBenchmarks for the purposes of Article 14

Table 1Long-run benchmark(3-year time horizon)

Credit Quality Step

Long run benchmark

Mid value

Lower bound

Upper bound

1

0,10 %

0,00 %

0,16 %

2

0,25 %

0,17 %

0,54 %

3

1,00 %

0,55 %

2,39 %

4

7,50 %

2,40 %

10,99 %

5

20,00 %

11,00 %

26,49 %

6

34,00 %

26,50 %

100,00 %

Table 2Short run benchmarks(3-year time horizon)

Credit Quality Step

Short run benchmarks

Monitoring level

Trigger level

1

0,80 %

1,20 %

2

1,00 %

1,30 %

3

2,40 %

3,00 %

4

11,00 %

12,40 %

5

28,60 %

35,00 %

6

not applicable

not applicable

ANNEX IIReference meaning of the rating category per credit quality step for the purposes of Article 15

Credit Quality Step

Meaning of the rating category

1

The rated entity has extremely/very strong capacity to meet its financial commitments and is subject to minimal/very low credit risk.

2

The rated entity has strong capacity to meet its financial commitments and is subject to low credit risk but is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than rated entities in CQS 1.

3

The rated entity has adequate capacity to meet its financial commitments and is subject to moderate credit risk.

However, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity of the rated entity to meet its financial commitments.

4

The rated entity has the capacity to meet its financial commitments but is subject to substantial credit risk.

It faces major ongoing uncertainties and exposure to adverse business, financial, or economic conditions, which could lead to the rated entity's inadequate capacity to meet its financial commitments.

5

The rated entity has the capacity to meet its financial commitments but is subject to high credit risk.

Adverse business, financial, or economic conditions will likely impair the rated entity's capacity or willingness to meet its financial commitments.

6

The rated entity is currently vulnerable or highly vulnerable and is subject to very high credit risk, including in or very near to default.

It is dependent upon favourable business, financial, and economic conditions to meet its financial commitments.

F1ANNEX IIIMapping tables for the purposes of Article 16

Annotations:
Amendments (Textual)

Credit quality step

1

2

3

4

5

6

ACRA Europe, a.s (formerly European Rating Agency, a.s.)

Global long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Global short-term rating scale

S1

S2

S3, S4, NS

AM Best Europe Rating Services

Long-term issuer credit rating scale

aaa, aa+, aa, aa-

a+, a, a-

bbb+, bbb, bbb-

bb+, bb, bb-

b+, b, b-

ccc+, ccc, ccc-, cc, c, d, e, f, s

Long-term issue rating scale

aaa, aa+, aa, aa-

a+, a, a-

bbb+, bbb, bbb-

bb+, bb, bb-

b+, b, b-

ccc+, ccc, ccc-, cc, c, d, s

Financial strength rating scale

A++, A+

A, A-

B++, B+

B, B-

C++, C+

C, C-, D, E, F, S

Short-term issuer rating scale

AMB-1+

AMB-1-

AMB-2,

AMB-3

AMB- 4, d, e, f, s

Short-term issue rating scale

AMB-1+

AMB-1-

AMB-2,

AMB-3

AMB- 4, d, s

ARC Ratings S.A.

Medium- and long-term issuer rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Medium- and long-term issue rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term issuer rating scale

A-1+

A-1

A-2, A-3

B, C, D

Short-term issue rating scale

A-1+

A-1

A-2, A-3

B, C, D

ASSEKURATA Assekuranz Rating-Agentur GmbH

Long-term credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC/C, D

Short-term corporate rating scale

A++

A

B, C, D

Axesor Risk Management SL

Global rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D, E

Banque de France

Global long-term issuer credit rating scale

3++

3+, 3

4+

4, 5+

5, 6

7, 8, 9, P

BCRA — Credit Rating Agency AD

Global long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Global short-term rating scale

A-1+

A-1

A-2, A-3

B, C, D

Pension-insurance company long-term scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Pension-insurance company short-term scale

A-1+

A-1

A-2, A-3

B, C, D

Pension fund long-term scale

AAA pf, AA pf

A pf

BBB pf

BB pf

B pf

C pf

Guarantee fund long-term scale

AAA, AA

A

BBB

BB

B

C, D

Guarantee fund short-term scale

A-1+

A-1

A-2, A-3

B, C, D

Capital Intelligence Ratings Ltd

International long-term issuer rating scale

AAA, AA

A

BBB

BB

B

C, RS, SD, D

International long-term issue rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

International long-term insurer financial strength rating scale

AAA, AA

A

BBB

BB

B

C, RS, SD, D

International short-term issuer rating scale

A1+

A1

A2, A3

B, C, RS, SD, D

International short-term issue rating scale

A1+

A1

A2, A3

B, C, D

International short-term insurer financial strength rating scale

A1+

A1

A2, A3

B, C, RS, SD, D

Cerved Rating Agency S.p.A.

Corporate long-term rating scale

A1.1, A1.2, A1.3

A2.1, A2.2, A3.1

B1.1, B1.2

B2.1, B2.2

C1.1

C1.2, C2.1

Creditreform Rating AG

Long-term issuer rating scale

AAA, AA

A

BBB

BB

B, C, SD, D

Long-term issue rating scale

AAA, AA

A

BBB

BB

B, C, D

Short-term rating scale

L1

L2

L3, NEL, D

CRIF Ratings S.r.l.

Long-term issuer rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D1S, D

Long-term issue rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, DS

Short-term issuer rating scale

IG-1

IG-2

SIG-1, SIG-2, SIG-3, SIG-4

Short-term issue rating scale

IG-1

IG-2

SIG-1, SIG-2, SIG-3, SIG-4

Dagong Europe Credit Rating Srl

Long-term credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term credit rating scale

A-1

A-2, A-3

B, C, D

DBRS Ratings

Long-term obligations rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Commercial paper and short-term debt rating scale

R-1 H, R-1 M

R-1 L

R-2, R-3

R-4, R-5, D

Financial strength rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, R

Egan-Jones Ratings Co.

Long-term credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term credit rating scale

A-1+

A-1

A-2

A-3, B, C, D

Euler Hermes Rating GmbH

Global long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, SD, D

EuroRating Sp. z o.o.

Global long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Fitch Ratings

Long-term issuer default rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, RD, D

Corporate finance obligations — long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C

Long-term international Insurer Financial Strength rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C

Derivative counterparty rating scale

AAA dcr, AA dcr

A dcr

BBB dcr

BB dcr

B dcr

CCC dcr, CC dcr, C dcr

Short-term rating scale

F1+

F1

F2, F3

B, C, RD, D

Short-term IFS rating scale

F1+

F1

F2, F3

B, C

GBB-Rating Gesellschaft für Bonitätsbeurteilung GmbH

Global long-term rating scale

AAA, AA

A, BBB

BB

B

CCC, CC, C, D

HR Ratings de México, S.A. de C.V.

Global long-term rating scale

HR AAA(G)/HR AA(G)

HR A(G)

HR BBB(G)

HR BB(G)

HR B(G)

HR C(G)/HR D(G)

Global short-term rating scale

HR+1(G)/HR1(G)

HR2(G)

HR3(G)

HR4(G), HR5(G), HR D(G)

ICAP Group S.A

Global long-term rating scale

AA, A

BB, B

C, D

E, F

G, H

INC Rating Sp. z o.o.

Long-term issuer credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Japan Credit Rating Agency Ltd

Long-term issuer rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, LD, D

Long-term issue rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term issuer rating scale

J-1+

J-1

J-2

J-3, NJ, LD, D

Short-term issue credit rating scale

J-1+

J-1

J-2

J-3, NJ, D

Kroll Bond Rating Agency

Long-term credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term credit rating scale

K1+

K1

K2, K3

B, C, D

Kroll Bond Rating Agency Europe

Long-term credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Short-term credit rating scale

K1+

K1

K2, K3

B, C, D

modeFinance S.r.l.

Global long-term rating scale

A1, A2

A3

B1

B2

B3

C1, C2, C3, D

Moody’s Investors Service

Global long-term rating scale

Aaa, Aa

A

Baa

Ba

B

Caa, Ca, C

Global short-term rating scale

P-1

P-2

P-3

NP

QIVALIO SAS (formerly Spread Research)

Global long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Global short-term rating scale

SR0

SR1, SR2

SR3, SR4, SR5, SRD

Rating-Agentur Expert RA GmbH

International credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D, E

International reliability rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D, E

Scope Ratings GmbH

Long-term rating scale

AAA, AA

A

BBB

BB

B

CCC, CC,C, D

Short-term rating scale

S-1+

S-1

S-2

S-3, S-4

S&P Global Ratings Europe Limited

Long-term issuer credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, R, SD/D

Long-term issue credit rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D

Insurer financial strength rating scale

AAA, AA

A

BBB

BB

B

CCC, CC, SD/D, R

Mid-Market Evaluation rating scale

MM1

MM2

MM3, MM4

MM5, MM6

MM7, MM8, MMD

Short-term issuer credit rating scale

A-1+

A-1

A-2, A-3

B, C, R, SD/D

Short-term issue credit rating scale

A-1+

A-1

A-2, A-3

B, C, D

The Economist Intelligence Unit Ltd

Sovereign rating band scale

AAA, AA

A

BBB

BB

B

CCC, CC, C, D